LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test
lomackinlay computes a overlapping variance-ratio test on a timeseries. The timeseries should be in level form; e.g., to test that stock returns vary randomly around a constant mean, you consider the null hypothesis that the log price series is a random walk with drift. The log price series would then be given in the varlist. If the assumption of homoskedastic errors in the process generating the differenced series is not reasonable, the robust option may be used to calculate a variance ratio test statistic robust to arbitrary heteroskedasticity. This is version 1.0.7, corrected for errors in logic identified by Allin Cottrell and Brian Fryd.
|Requires:||Stata version 9.2|
|Date of creation:||22 Jun 2006|
|Date of revision:||14 Nov 2007|
|Note:||This module should be installed from within Stata by typing "ssc install lomackinlay". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s456740. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.